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ca.jo(varvector,type = 'trace',K=p[j,1],season =NULL,dumvar =NULL) 这是我的程序,varvector里面是两变量组合成的矩阵
检验的结果如下:
Values of teststatistic and critical values of test:
test 10pct 5pct 1pct
r <= 1 | 5.72 6.50 8.18 11.65
r = 0 | 27.58 15.66 17.95 23.52
Eigenvectors, normalised to first column:
(These are the cointegration relations)
Series.1.l3 Series.2.l3
Series.1.l3 1.000000 1.000000
Series.2.l3 -4.950548 6.299762
我想问一下,特征向量是不是就是协整向量?如果是的话,为什么两变量会出现两个,难道是有一个常数项吗?求大神赐教